Gluons transform in the adjoint representation. The charges "red", "green" and "blue" refer to the weights of the fundamental representation. So you may assign the gluons charges like "red"--"anti-green" (but this does not quite work out because this fails to take into account the "tracelessness" condition, i.e. you will naively get 9 instead of 8 gluons). A color-neutral combination of gluons can annihilate into photons, but not directly since gluons do not carry electric charge. The following shows a loop diagram that could with a lot of good will be interpreted as "gluon annihilation" (but recall that gluons are not asymptotically free states, so the term "annihilation" has to be interpreted in a somewhat unusual way). The second diagram shows that the answer by TEH is not entirely correct (but it is true to a very good approximation since the corresponding amplitude is highly suppressed).
So the bottom-line is that, as long as you can form an invariant contraction of the incoming states, they can annihilate. In particular, gluons can, since their only quantum numbers are that they are octets under SU(3), and $\boldsymbol{8}\times\boldsymbol{8}$ contains a singlet. The annihilation rate may, however, be very much suppressed, as in the case of $e^-\mu^+\to\gamma\gamma$.